When using a 12ga with 1 1/4 oz of lead shot go with #5s or #4s. Yes, lead #6 and even lead #7 1/2s will kill'em if they are close but any pheasant that the 6s or 7 1/2s would have killed would have also been killed with the 5s or 4s and the larger pellets give you a little more effective range for when the birds aren't holding tight. And, choke them appropriately for the distance you take most of your shots.
When shooting a 20ga I would go with lead 6s or 5s and hold my shots to 40 yards max with the appropriate choke.
When shooting pheasants with steel, go with #3s or #2s. In a 20ag I use the 3" 1 oz load and in a 12ga I go with a 1 1/8 oz load. The research shows these larger pellets were best and there was no advantage to using the smaller steel pellets. See the below link for a write-up on the research conducted in North Dakota.http://www.dnr.state.mn.us/fwt/back_iss